It is possible.
Your best bet is to look for the siren or the "brain". It is usually under the dash by the fuse box. (Big box stores put it there when they install it because it is easy to hook everything up) see if you can find the manufacturer. Most makers of alarms now have their manuals online, or if not go to a store and see if they can photocopy you the manual. Depending on their policy you might have to prove that you have that alarm in your car. Download it and follow the instructions. Usually there is a wire that you hook to your lights, (what makes them flash for lock, unlock) in this case you would hook it to your neons.
On my old car I had a neon kit hooked up to my alarm. It grabs attention when you lock unlock, I also had it set to the interior timer, so when I unlocked it the lights inside would go on and my neons would go on, then when you locked it and the interiors faded out so would the neons.
Hope this helps.
